Estimating Volatility Returns Using ARCH Models. An Empirical Case: The Spanish Energy Market

Ricardo Alverola ()
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Ricardo Alverola: University of Alicante (Spain), Postal: C/avda, Constitución 21, 3o 03660 Novelda. Alicante, España

Lecturas de Economía, 2007, issue 66, 251-276

Abstract: This paper analyzes the most common regularities of daily stock returns time series in the Spanish Energy Market from an empirical point of view. As they are a powerful tool, we fit a selection of developments of Autoregressive Conditional Heteroscedastic (ARCH) processes to the series in order to model their volatility. The paper finds that just two series have a significant and different relationship between the expected conditional stock return and its own conditional variance: Enagas (negative) and Cepsa (positive). It also finds that the electric market has been the most volatile market during the period under analysis.

Keywords: financial series; stock; return; risk; volatility; ARCH model; structural change points (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2007
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